Method and apparatus for synthesizing metrics of stock or share market indices
First Claim
1. An apparatus for synthesizing metrics for a predetermined group of securities, said apparatus comprising:
- an interface for obtaining trade information for each security of the predetermined group of securities;
an accumulator coupled to the interface for accumulating said trade information for a desired time period;
a store coupled to the accumulator in which store the accumulated trade information is periodically stored; and
a processor coupled to the store, said processor including instructions for calculating from the accumulated trade information a metric for said predetermined group of securities, and determining a standardised statistical measure of said metric utilising the accumulated trade information stored in the time period.
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Abstract
A method of synthesizing metrics for a predetermined group of securities, said method comprising the steps of obtaining trade information for each security of the predetermined group of securities, the trade information suitably including for each trade an identifier for the security, the unit price, time of trade and volume of securities traded; accumulating said trade information for a desired time period and periodically storing the accumulated trade information in a store; calculating from the accumulated trade information a metric for said predetermined group of securities; and determining a standardised statistical measure, preferably a Z score, of said metric utilising the accumulated trade information stored in the time period. An apparatus for implementing the product and a computer software product containing instructions for execution of the method are also disclosed.
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Citations
22 Claims
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1. An apparatus for synthesizing metrics for a predetermined group of securities, said apparatus comprising:
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an interface for obtaining trade information for each security of the predetermined group of securities;
an accumulator coupled to the interface for accumulating said trade information for a desired time period;
a store coupled to the accumulator in which store the accumulated trade information is periodically stored; and
a processor coupled to the store, said processor including instructions for calculating from the accumulated trade information a metric for said predetermined group of securities, and determining a standardised statistical measure of said metric utilising the accumulated trade information stored in the time period. - View Dependent Claims (2, 3, 4)
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5. A method of synthesizing metrics for a predetermined group of securities, said method comprising the steps of:
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obtaining trade information for each security of the predetermined group of securities;
accumulating said trade information for a desired time period and periodically storing the accumulated trade information in a store;
calculating from the accumulated trade information a metric for said predetermined group of securities; and
determining a standardised statistical measure of said metric utilising the accumulated trade information stored in the time period. - View Dependent Claims (6, 7, 8, 9, 10, 11, 12, 13, 14, 15, 16)
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17. A computer software product comprising instructions stored on computer readable media and executable by a processor for synthesizing metrics for a predetermined group of securities, said instructions for performing the steps of:
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obtaining trade information for each security of the predetermined group of securities;
accumulating said trade information for a desired time period and periodically storing the accumulated trade information in a store;
calculating from the accumulated trade information a metric for said predetermined group of securities; and
determining a standardised statistical measure of said metric utilising the accumulated trade information stored over a statistically significant number of earlier time periods. - View Dependent Claims (18, 19, 20, 21, 22)
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Specification